Is there Information Diffusion in India from Asian Stock Markets? A Quantile Regression Approach

Abstract

Digitalization and globalization trim down boundaries of time and distance and increase financial  assimilation among the economies of the world. Present research scrutinizes the extent, construction  and dimension of interconnection and alliances between India and emerging Asian stock markets  of China, Japan, Indonesia, Taiwan, Saudi Arabia, and South Korea by means of quantile  regression technique and Granger causality test. Results of quantile regression approach prove  that South Korean, Japanese, Indonesian and Taiwanese stock markets significantly influence  Indian stock markets in lower and upper quartiles. Bidirectional causality is observed between  stock markets of India - South Korea, India -Japan and India - Saudi Arabia. Unidirectional  causality is observed between bourses of India - China, India - Indonesia and India - Taiwan.  Present study distinct itself from other studies as it applies quantile regression which has many  merits over the traditional OLS technique. The results of our study have implications for the  policy makers, investors, academicians and researchers as it provides valuable insight into the  interdependence of stock markets in the same region which are developing and are also marred  by informational efficiencies and behavioral biases.